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紧识别SVAR中基于“软”符号限制的快速后验抽样AI 解读

We propose algorithms for conducting Bayesian inference in structural vector autoregressions identified using sign restrictions. The key feature of our approach is a sampling step based on ‘soft’ sign restrictions. This step draws from a target density that smoothly penalises parameter values that violate the restrictions, facilitating the use of computationally efficient Markov chain Monte Carlo sampling algorithms. An importance-sampling step yields draws conditional on…

分布向量自回归：刻画宏观与金融依赖AI 解读

ABSTRACT This paper extends the vector autoregression framework by introducing a flexible distributional regression that models multivariate time series without imposing restrictive parametric distribution assumptions. We develop a distributional impulse response function that captures the future effect of distributional disturbances within the system, providing a more detailed view of dynamic heterogeneity. We propose a straightforward estimation method and establish its…

时变参数MIDAS模型：美国实际GDP即时预测应用AI 解读

We introduce a novel time-varying parameter mixed-data sampling (TVP-MIDAS) framework. Specifically, we allow both the MIDAS weights and the coefficients representing the overall impacts of the high-frequency variables to vary over time. This is done by introducing a class of linear parameterizations, which facilitate estimation in settings with a large number of high-frequency predictors. We demonstrate the usefulness of this framework via an application of nowcasting US…

后验敏感性的估计及其在贝叶斯 VAR 结构分析中的应用AI 解读

The inherent feature of Bayesian empirical analysis is the dependence of posterior inference on prior parameters, which researchers typically specify.However, quantifying the magnitude of this dependence remains difficult.This article extends Infinitesimal Perturbation Analysis, widely used in classical simulation, to compute asymptotically unbiased and consistent sensitivities of posterior statistics with respect to prior parameters from Markov chain Monte Carlo inference…

由分位数回归构造密度预测：宏观金融动态中的多峰性AI 解读

Summary Quantile regression methods are increasingly used to forecast tail risks and uncertainties in macroeconomic outcomes. This paper reconsiders how to construct predictive densities from quantile regressions. We compare a popular two‐step approach that fits a specific parametric density to the quantile forecasts with a nonparametric alternative that lets the “data speak.” Simulation evidence and an application revisiting GDP growth uncertainties in the United States…

高维潜变量模型的混合无校正 Langevin 方法AI 解读

The exact estimation of latent variable models with big data is known to be challenging. The latents have to be integrated out numerically, and the dimension of the latent variables increases with the sample size. This paper develops a novel approximate Bayesian method based on the Langevin diffusion process. The method employs the Fisher identity to integrate out the latent variables, which makes it accurate and computationally feasible when applied to big data. In contrast…

含缺失数据的高维条件高斯状态空间模型AI 解读

We develop an efficient sampling approach for handling complex missing data patterns and a large number of missing observations in conditionally Gaussian state space models. Two important examples are dynamic factor models with unbalanced datasets and large Bayesian VARs with variables in multiple frequencies. A key observation underlying the proposed approach is that the joint distribution of the missing data conditional on the observed data is Gaussian. Furthermore, the…

贝叶斯模型比较中的自动化先验稳健性分析AI 解读

Summary It is well‐known that the marginal likelihood, the gold standard for Bayesian model comparison, can be sensitive to prior hyperparameter choices. However, most models require computationally intense simulation‐based methods to evaluate the typically high‐dimensional integral of the marginal likelihood expression. Hence, despite the recognition that prior sensitivity analysis is important in this context, it is rarely done in practice. We develop efficient and…

非光滑准则函数下的间接推断AI 解读

Indirect inference requires simulating realizations of endogenous variables from the model under study. When the endogenous variables are discontinuous functions of the model parameters, the resulting indirect inference criterion function is discontinuous and does not permit the use of derivative-based optimization routines. Using a change of variables technique, we propose a novel simulation algorithm that alleviates the discontinuities inherent in such indirect inference…

含协变量多臂老虎机问题的非参数估计与随机分配AI 解读

We study a multi-armed bandit problem in a setting where covariates are available. We take a nonparametric approach to estimate the functional relationship between the response (reward) and the covariates. The estimated relationships and appropriate randomization are used to select a good arm to play for a greater expected reward. Randomization helps balance the tendency to trust the currently most promising arm with further exploration of other arms. It is shown that, with…